March 26, 2014

SEF MAT weeks 4 and 5 | US reportable IRS fixed float volumes

A brief update – SEF MAT weeks 4 and 5 numbers show fixed float IRS fairly stable.  Using any one week to form conclusions is questionable.  A March weekly average compared with January weekly average shows the downward trend of US reportable EUR and GBP and the stubborn refusal of USD to shift proportionately on SEF consistent with my prior posts.  Also we can start to compare swapfutures vs IMM/MAC swaps volume – courtesy of Amir's helpful post – so far there's a real race it would seem.

What do the Numbers Say

From the graph it looks by eye that we've got back to where we were in January with no appreciable shift in total volumes or proportion of on SEF vs off SEF.  To get away from any one week driving conclusions, I calculated the March weekly average vs January four week average (ignoring February as the implementation month, thanks to Clarus' SDRView tool).

Ccy       On SEF   Off SEF

USD        +15%      +22%

EUR        -35%         +2%

GBP        -35%         -14% 

Total       + 6%         +11% 

From this we can see that US reportable volume in the three currencies in total and also for USD in particular increased but decreased for EUR and GBP.  Also for all three currencies with MAT swaps the on SEF proportion went down.  This is consistent with my theme before of non-USD MAT currencies shifting offshore while USD activity increases but without shifting further on SEF in proportion.
MAC/IMM and Swapfutures
For the first time Amir published some figures here which highlight at least $9bn of MAC/IMM swaps which compares favorably with CME and ERIS websites showing last weeks comparable volumes of IR swapftutures as about $2.5bn.  So whilst MAC/IMM swaps are less than 4% of on SEF swaps, the comparison with swapfutures notional volumes seems to indicate a real race is going on.
Let's keep watching both aspects.

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